781 search results for "Maps"

What 5,728.986 miles look like…

November 10, 2011
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What 5,728.986 miles look like…

Time Series as calendar heat maps + All of my running data since April 1, 2009 = Generated by the following code: #Sample Code based on example program at: source(file = "calendarHeat.R") run<- read.csv("log.csv", header = TRUE, sep=",") sum(run$Distance) date <- c() for (i in 1: dim(run)){ if(run$DistanceUnit== 'Kilometer'){ miles <- c(miles,run$Distance * 0.62) }

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Geometric Efficient Frontier

November 9, 2011
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Geometric Efficient Frontier

What is important for an investor? The rate of return is at the top of the list. Does the expected rate of return shown on the mean-variance efficient frontier paints the full picture? If investor’s investment horizon is longer than one period, for example 5 years, than the true measure of portfolio performance is Geometric

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What the frack? Does hydraulic fracturing lead to increased earthquakes?

November 8, 2011
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What the frack?  Does hydraulic fracturing lead to increased earthquakes?

Earthquakes are normal occurrences along the boundaries of major plate margins, such as along the San Andreas fault system of California,  and are less common within plate interiors.  Try telling that, however, to the citizens of Oklahoma who...

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Rcpp talk at Seattle RUG next month

November 6, 2011
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The Seattle R User Group was kind enough to invite me to give a talk about R, C++ and Rcpp. So if you can make it to the Thomas building of the Fred Hutchinson Cancer Research Center in Seattle, WA, on December 7, I would love to see you there. I ha...

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Maximizing Omega Ratio

November 3, 2011
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Maximizing Omega Ratio

The Omega Ratio was introduced by Keating and Shadwick in 2002. It measures the ratio of average portfolio wins over average portfolio losses for a given target return L. Let x.i, i= 1,…,n be weights of instruments in the portfolio. We suppose that j= 1,…,T scenarios of returns with equal probabilities are available. I will

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Use case: combining taxize and rgbif

November 1, 2011
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Use case: combining taxize and rgbif

Sure thing….this is just the sort of thing for which rOpenSci is being built. A colleague of mine recently saw our packages in development and thought, “Hey, that could totally make my life easier.”   What was made easier you ask?   This was his situation: He had a list of ca. 1200 species of

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Minimizing Downside Risk

November 1, 2011
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Minimizing Downside Risk

In the Maximum Loss and Mean-Absolute Deviation risk measures, and Expected shortfall (CVaR) and Conditional Drawdown at Risk (CDaR) posts I started the discussion about alternative risk measures we can use to construct efficient frontier. Another alternative risk measure I want to discuss is Downside Risk. In the traditional mean-variance optimization both returns above and

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Halloween 2011 count

October 31, 2011
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Halloween 2011 count

We don’t get many kids seeking candy at our house. I’m not sure if there just aren’t many kids in the neighborhood, or if it’s our location (next to the pond, with a big gap before the next house). I decided to keep track. As usual, we bought a huge bag of candy, and we

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Japan Quake Map

October 31, 2011
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Japan Quake Map

Japan Quake Map with R, ggplot2, and FFmpeg   1 Introduction As a follow-up to ‘Analysis of Japanes

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The Most Diversified or The Least Correlated Efficient Frontier

October 27, 2011
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The Most Diversified or The Least Correlated Efficient Frontier

The “Minimum Correlation Algorithm” is a term I stumbled at the CSS Analytics blog. This is an Interesting Risk Measure that in my interpretation means: minimizing Average Portfolio Correlation with each Asset Class for a given level of return. One might try to use Correlation instead of Covariance matrix in mean-variance optimization, but this approach,

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